Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0099
Annualized Std Dev 0.2514
Annualized Sharpe (Rf=0%) 0.0394

Row

Daily Return Statistics

Close
Observations 4589.0000
NAs 1.0000
Minimum -0.2073
Quartile 1 -0.0043
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0000
Quartile 3 0.0056
Maximum 0.2500
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0158
Skewness -0.2359
Kurtosis 35.8050

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0122
Loss Deviation 0.0147
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6969
Historical VaR (95%) -0.0197
Historical ES (95%) -0.0396
Modified VaR (95%) -0.0155
Modified ES (95%) -0.0155
From Trough To Depth Length To Trough Recovery
2006-09-20 2009-03-09 2010-11-08 -0.6969 1042 620 422
2013-05-09 2020-03-18 NA -0.5276 1981 1727 NA
2011-03-28 2011-10-04 2013-02-08 -0.2846 471 133 338
2004-01-14 2004-05-10 2004-12-22 -0.1723 238 81 157
2004-12-28 2005-03-28 2006-09-18 -0.1623 435 62 373

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA NA NA 0.1 0.1
2003 0.6 0.6 1 0.7 0.1 0.7 0.5 0.1 0.5 0.3 -0.8 0.6 5
2004 0.2 1.3 0.3 0.4 -0.9 0.7 0.4 0.3 0.6 0.6 0.4 0.7 5.3
2005 0.6 0.5 0.5 -0.2 -0.1 0.4 0.2 0.1 0.7 -0.9 0.4 -0.2 1.9
2006 -0.2 0.4 -0.3 0.1 0.4 0.2 0.6 0.1 0.1 0.1 0.6 -0.2 1.7
2007 -0.1 1 0.4 -0.1 0.2 0.7 -2 0.8 0.1 -0.6 2.1 1.5 4.1
2008 1.2 -2.5 0.1 0.8 -0.9 0.1 2.1 -0.3 4 2 -0.3 0.7 7.1
2009 5.4 4 1.1 2.4 0.2 2.7 0.7 -0.5 -1 -1.5 0.8 -0.6 14.4
2010 4.7 0.7 -0.2 -0.4 0.6 0.9 -0.3 0.4 0.4 0.6 -0.3 0.6 7.8
2011 1.4 -0.9 -5.2 -0.3 0.1 0 2.6 -1.1 -0.7 -1.2 0.3 0.6 -4.4
2012 0.4 0.7 -0.2 -0.1 -0.9 -0.1 1.4 -0.5 0.7 0.7 -0.4 -0.5 1.2
2013 0.5 0.4 0.2 0.6 -2.5 -2.5 -2 -0.2 0 0.5 0.8 -0.4 -4.4
2014 0.6 -0.5 0 0.6 0.4 0.7 0.7 0.3 0.9 0.6 -0.3 -3.8 0.2
2015 0.6 1.6 0.6 0.5 1.2 0.4 -0.3 0.4 -1.5 0.1 0.4 0.9 5.1
2016 0.9 0.8 0.4 -0.2 0 0.4 -0.3 0.3 -0.5 0.1 0.1 0 2
2017 0.9 -0.3 0.3 0.2 0.2 0.1 -2.1 -0.1 0.2 0.1 0.1 0.6 0
2018 0.2 -0.5 0.1 0.3 0.7 1.7 0.1 0.2 0.4 0.8 -0.3 -1.7 1.9
2019 0.4 0.5 0.7 -0.4 0.6 0.6 0.2 0.2 0.1 0.2 0.3 0.4 3.8
2020 -0.1 -4.5 -6.4 -1.1 0.1 -0.4 0.1 0.4 0.3 -1.4 1.3 0.2 -11.1
2021 -0.6 0.4 0.2 NA NA NA NA NA NA NA NA NA 0.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-12-24  15   SPY    89.4 -0.0074  -0.0165  -0.0435   0.0593   -0.221   -0.369       NA <NA>     NA    NA       NA
2 2002-12-26  15.0 SPY    89.4  0.0004  -0.0046  -0.0438   0.0427   -0.225   -0.378       NA <NA>     NA    NA       NA
3 2002-12-27  15.0 SPY    87.4 -0.0225  -0.02    -0.0471   0.056    -0.247   -0.394       NA <NA>     NA    NA       NA
4 2002-12-30  15   SPY    88.1  0.0084  -0.0209  -0.0654   0.0773   -0.240   -0.398       NA <NA>     NA    NA       NA
5 2002-12-31  15.0 SPY    88.2  0.0014  -0.0199  -0.0612   0.0293   -0.228   -0.397       NA <NA>     NA    NA       NA
6 2003-01-02  15.0 SPY    91.1  0.0322   0.0192  -0.0325   0.0952   -0.212   -0.377       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart